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From the folks at Bespoke Investments: Excellent overview of how the options market is viewing things as we scale over the 200 day sma in the S&P 500.

• Options markets are not taking a very
optimistic tone lately.
• While the huge surge in volatility that
came with the COVID crash in March is to
be expected, and volatility has come down
dramatically since, VIX is still relatively elevated versus both realized volatility and at the-money index options for the S&P 500.
• One major driver is the fact that hedging against further declines has been very
• The premium paid for 25 delta puts over 25
delta calls remains very high versus recent
• 3month put vol trades 12 points over call
vol, which is about as extreme as that
measure of put skew ever traded over the
five years prior to this spring.
• The effect isn’t just about indices, either.
• In general, this is evidence of how defensive positioning still is; investors are still
paying high premiums for downside protection even as the S&P 500 has moved
back over 3000.